Maximization of Returns under an Average Value-at-Risk Constraint in Fuzzy Asset Management

A portfolio allocation model is discussed in asset management with fuzziness. By perception-based extension for fuzzy random variables, the estimation methods of asset risks are introduced. Introducing an average value-at-risk for fuzzy random variables, this paper formulates a portfolios allocation model with average value-at-risks. This paper discusses maximization of the expected return under an average value-at-risk constraint with fuzzy random variables. A numerical example is given to demonstrate the results.